کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979597 933371 2007 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the maximum drawdown during speculative bubbles
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
On the maximum drawdown during speculative bubbles
چکیده انگلیسی
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk measure estimated here.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 235-246
نویسندگان
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